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Exogenous shocks, dynamic correlations, and portfolio risk management for the Asian emerging and other global developed and emerging stock markets
Dong, Xiyong; Li, Changhong; Yoon, Seong-min - In: Applied economics 52 (2020) 43, pp. 4745-4764
Persistent link: https://www.econbiz.de/10012298738
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Exogenous Shocks, Dynamic Correlations, and Portfolio Risk Management for the Asian Emerging and Other Global Developed and Emerging Stock Markets
Dong, Xiyong; Li, Changhong; Yoon, Seong-Min - 2023
This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks,...
Persistent link: https://www.econbiz.de/10014351309
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Correlations and volatility spillover from China to Asian and Latin American Countries : identifying diversification and hedging opportunities
Yadav, Miklesh Prasad; Sharma, Sudhi; Aggarwal, Vaibhav; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-21
the spillover effect from Chinese stock exchange to stock exchanges of Asia and Latin America, namely, India, Indonesia … Heteroskedasticity (MGARCH) model with BEKK, diagonal, Constant Conditional Correlation (CCC), and finally, Dynamic Conditional … Correlation (DCC) specifications. DCC model outperforms among others and identifies two diversification opportunities with Mexican …
Persistent link: https://www.econbiz.de/10014500295
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Identifying diversifiers, hedges, and safe havens among Asia Pacific equity markets during COVID-19 : new results for ongoing portfolio allocation
Ali, Fahad; Sensoy, Ahmet; Goodell, John W. - In: International review of economics & finance : IREF 85 (2023), pp. 744-792
Persistent link: https://www.econbiz.de/10014428692
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Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445
Persistent link: https://www.econbiz.de/10012515166
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Asymmetric correlations in gold and other financial markets
Miyazaki, T.; Hamori, Shigeyuki - In: Applied economics 48 (2016) 46/48, pp. 4419-4425
Persistent link: https://www.econbiz.de/10011640106
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The CAPM, national stock market betas, and macroeconomic covariates : a global analysis
Curran, Michael; Velic, Adnan - 2018
Persistent link: https://www.econbiz.de/10011898916
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On the economic determinants of optimal stock-bond portfolios : international evidence
Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017
Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …
Persistent link: https://www.econbiz.de/10011745369
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Co-movements of Latin American equity markets before and after September 11, 2001
Meriç, İlhan; Ratner, Mitchell; Nygren, Lan Ma; … - In: Latin American business review : journal of the … 8 (2007) 3, pp. 54-74
Persistent link: https://www.econbiz.de/10003756566
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Time-varying correlations and optimal allocation in emerging market equities for the US investors
Cha, Heung-Joo; Jithendranathan, Thadavillil - In: International journal of finance & economics : IJFE 14 (2009) 2, pp. 172-187
Persistent link: https://www.econbiz.de/10003824847